Hidden Bibliographic Details
| Other authors / contributors: | International Monetary Fund. Research Department.
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| ISBN: | 1451893175
9781451893175
1281345695
9781281345691
1462354084
9781462354085
1452702861
9781452702865
9786613779267
6613779261
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| Notes: | Includes bibliographical references (page 35).
Restrictions unspecified
Electronic reproduction. [Place of publication not identified] : HathiTrust Digital Library, 2010.
Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212
English.
digitized 2010 HathiTrust Digital Library committed to preserve
Print version record.
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| Summary: | Within a unified theory for stocks and corporate bonds, based on dynamic optimization by investors, this paper derives analytical expressions for the momentary distributions of expected price, respectively known to approximate lognormal with systematic deviations (high peak, fat tail) and double exponential (for credit risk). Market equilibrium is regarded as a dynamic equilibrium characterized by a time-invariant probability distribution over microfinancial states, marginal redistributions of portfolios are regarded as indistinguishable, and real and fiat assets are regarded as essentially distinct. The formalism provides a basis for decomposing value changes by market fundamentals, investor sentiment, and investor acquisition of securities.
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| Other form: | Print version: Johannes, Ron. Equilibrium distributions of value for risky stocks and bonds. [Washington, D.C.] : International Monetary Fund, Research Dept., ©2001
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